Europe Index : ISEQ20 Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 7.73% Dec Performance 2.29% 21,414.04% Annualized Vol 0.28 Sharpe (RFR=1%) 105.92% CAROR -80.16 Worst DD 0.02 S&P Correlation Add Alert Add to Blender Add to Portfolio Add to Watchlist Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Strategy Description Account & Fees Type Index Minimum Investment $ 10k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee Performance Fee 0% Average Commission Available to US Investors Request Information Subscriptions High Water Mark No Subscription Frequency Redemption Frequency Investor Requirements Lock-up Period 0 Trading Trading Frequency RT/YR/$M Avg. Margin-to-Equity Targeted Worst DD Worst Peak-to-Trough Sector Focus Not Specified Holding Periods Over 12 Months 4-12 Months 1-3 Months 1-30 Days Intraday Decision-Making Discretionary Systematic Strategy Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year. Drawdown Report Depth Length (Mos.) Recovery (Mos.) Peak Valley -80.16 21 - 5/1/2007 2/1/2009 -7.07 4 2 3/1/2006 7/1/2006 -3.98 3 1 7/1/2005 10/1/2005 -3.50 1 1 1/1/0001 4/1/2005 -2.73 1 4 12/1/2006 1/1/2007 Show More Consecutive Gains Run-up Length (Mos.) Start End 41.84 3 3/1/2009 5/1/2009 26.03 3 7/1/2009 9/1/2009 25.14 5 8/1/2006 12/1/2006 23.42 5 11/1/2005 3/1/2006 17.11 2 3/1/2010 4/1/2010 17.09 3 5/1/2005 7/1/2005 6.45 2 12/1/2009 1/1/2010 5.75 2 4/1/2007 5/1/2007 4.00 1 7/1/2010 7/1/2010 2.94 1 8/1/2008 8/1/2008 2.65 1 4/1/2008 4/1/2008 2.22 1 2/1/2007 2/1/2007 2.18 1 9/1/2005 9/1/2005 0.25 1 10/1/2010 10/1/2010 Show More Consecutive Losses Run-up Length (Mos.) Start End -54.49 6 9/1/2008 2/1/2009 -39.18 10 6/1/2007 3/1/2008 -32.16 3 5/1/2008 7/1/2008 -18.10 2 10/1/2009 11/1/2009 -15.10 2 5/1/2010 6/1/2010 -7.07 4 4/1/2006 7/1/2006 -7.04 2 8/1/2010 9/1/2010 -3.50 1 4/1/2005 4/1/2005 -3.49 1 2/1/2010 2/1/2010 -3.46 1 10/1/2005 10/1/2005 -3.36 1 11/1/2010 11/1/2010 -2.73 1 1/1/2007 1/1/2007 -2.65 1 8/1/2005 8/1/2005 -0.94 1 6/1/2009 6/1/2009 -0.73 1 3/1/2007 3/1/2007 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods68.0066.0063.0057.0051.0045.0033.0021.00 Percent Profitable45.5946.9749.2149.1237.2522.223.030.00 Average Period Return-0.89-2.18-3.74-7.98-14.87-30.90-56.54-60.15 Average Gain5.3410.9516.1522.5231.6530.695.15 Average Loss-6.10-13.80-23.01-37.43-42.49-48.50-58.46-60.15 Best Period18.7441.8466.2255.5047.3560.805.15-49.19 Worst Period-21.23-42.95-58.40-68.58-76.61-79.17-75.38-68.71 Standard Deviation7.5115.8025.3635.2541.7939.5520.884.85 Gain Standard Deviation4.088.9514.5513.3612.5220.66 Loss Standard Deviation5.4610.5117.3822.0124.7321.8317.994.85 Sharpe Ratio (1%)-0.13-0.15-0.17-0.25-0.39-0.83-2.85-13.23 Average Gain / Average Loss0.870.790.700.600.740.630.09 Profit / Loss Ratio0.730.700.680.580.440.180.00 Downside Deviation (10%)6.2313.2921.8833.9744.1155.1975.1781.83 Downside Deviation (5%)6.0512.7120.7231.4539.8348.4263.0264.38 Downside Deviation (0%)6.0112.5720.4430.8338.7946.7960.1560.33 Sortino Ratio (10%)-0.21-0.26-0.28-0.38-0.51-0.75-0.96-1.00 Sortino Ratio (5%)-0.16-0.19-0.20-0.29-0.41-0.68-0.95-1.00 Sortino Ratio (0%)-0.15-0.17-0.18-0.26-0.38-0.66-0.94-1.00 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel